Linear filtering of systems with memory and application to finance

Inoue, A.; Nakano, Y.; Anh, V.

Journal of Applied Mathematics and Stochastic Analysis, 2006, 2006, 1-26

Permalink : https://hdl.handle.net/2115/18904

このアイテムのアクセス数:2,062件（2026-05-21 00:52 集計）

ファイル	フォーマット	サイズ	閲覧回数	説明
JAMSA2006-53104	pdf	228 KB	1,288

アクセス権	open access
URI	https://hdl.handle.net/2115/18904
タイトル	Linear filtering of systems with memory and application to finance
著者	Inoue, A. ; Nakano, Y. ; Anh, V.
著者名 Inoue, A.
著者名 Nakano, Y.
著者名 Anh, V.
言語	英語
発行日	2006
出版者	Hindawi Publishing Corporation
収録物名	Journal of Applied Mathematics and Stochastic Analysis
巻(号)	2006
ページ	1-26
抄録	We study the linear filtering problem for systems driven by continuous Gaussian processes V(1) and V(2) with memory described by two parameters. The processes V(j) have the virtue that they possess stationary increments and simple semimartingale representations simultaneously. They allow for straightforward parameter estimations. After giving the semimartingale representations of V(j) by innovation theory, we derive Kalman-Bucy-type filtering equations for the systems. We apply the result to the optimal portfolio problem for an investor with partial observations. We illustrate the tractability of the filtering algorithm by numerical implementations.
資源タイプ	学術雑誌論文
出版タイプ	Accepted Manuscript
PISSN	1048-9533
EISSN	1687-2177
関連情報 (isVersionOf)	出版社版DOI https://doi.org/10.1155/JAMSA/2006/53104